Compatible matrices of Spearman’s rank correlation

Publication date: Available online 29 March 2019Source: Statistics & Probability LettersAuthor(s): Bin Wang, Ruodu Wang, Yuming WangAbstractIn this paper, we provide a negative answer to a long-standing open problem on the compatibility of Spearman’s rho matrices. Following an equivalence of Spearman’s rho matrices and linear correlation matrices for dimensions up to 9 in the literature, we show non-equivalence for dimensions 12 or higher. In particular, we connect this problem with the existence of a random vector under some linear projection restrictions in two characterization results.

Source: Statistics and Probability Letters - March 29, 2019 Category: Statistics Source Type: research